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Rainier
(39055744)

Created by: CliffFiess CliffFiess
Started: 03/2009
Stocks
Last trade: 2,958 days ago

Subscription terms. Subscriptions to this system cost $50.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

15.9%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

-
Max Drawdown
1021
Num Trades
63.6%
Win Trades
1.6 : 1
Profit Factor
24.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2009              +6.2%+3.5%+1.4%+1.6%+6.7%+0.8%+3.3%+5.9%+3.5%+0.5%+38.8%
2010(3.6%)+6.1%+1.6%+2.7%+18.7%(1.6%)+2.6%(0.3%)(0.7%)+2.1%+2.4%  -  +32.2%
2011+0.7%(0.8%)+7.5%+2.1%(3.2%)+1.8%+0.2%(16.3%)(8.8%)+5.6%+2.9%+1.6%(8.6%)
2012+0.1%+1.1%(3.8%)+3.7%+2.2%(0.7%)+0.7%  -  +2.3%+0.8%+2.3%(0.2%)+8.5%
2013(0.1%)+0.5%(0.4%)(0.2%)+1.8%+0.5%(0.3%)+4.1%  -    -    -    -  +6.1%
2014  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2015  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2016  -    -    -    -    -    -    -  (0.9%)  -    -    -    -  (0.9%)
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -                    0.0

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

This strategy has placed 1,351 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 3070 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/22/13 9:30 HPQ HEWLETT-PACKARD LONG 1,088 23.19 8/23 9:30 22.25 0.66%
Trade id #82656552
Max drawdown($1,501)
Time8/22/13 10:12
Quant open1,088
Worst price21.81
Drawdown as % of equity-0.66%
($1,028)
Includes Typical Broker Commissions trade costs of $5.00
8/15/13 9:37 PHM PULTEGROUP LONG 1,821 14.30 8/16 9:30 16.00 0.06%
Trade id #82544221
Max drawdown($127)
Time8/15/13 9:39
Quant open1,821
Worst price14.23
Drawdown as % of equity-0.06%
$3,091
Includes Typical Broker Commissions trade costs of $5.00
8/12/13 9:30 BRCM BROADCOM CORP LONG 1,026 20.70 8/13 9:30 26.32 n/a $5,761
Includes Typical Broker Commissions trade costs of $5.00
7/9/13 12:28 MU MICRON TECHNOLOGY LONG 1,946 13.38 7/10 9:55 13.16 0.48%
Trade id #81912997
Max drawdown($1,031)
Time7/10/13 9:31
Quant open1,946
Worst price12.85
Drawdown as % of equity-0.48%
($433)
Includes Typical Broker Commissions trade costs of $5.00
6/24/13 10:02 CLF CLEVELAND-CLIFFS INC LONG 1,630 15.90 6/25 9:30 16.20 0.3%
Trade id #81667634
Max drawdown($652)
Time6/24/13 10:27
Quant open1,630
Worst price15.50
Drawdown as % of equity-0.30%
$484
Includes Typical Broker Commissions trade costs of $5.00
6/24/13 9:58 AIG AMERICAN INTERNATIONAL LONG 615 42.14 6/25 9:30 42.85 0.17%
Trade id #81667384
Max drawdown($375)
Time6/24/13 11:37
Quant open615
Worst price41.53
Drawdown as % of equity-0.17%
$432
Includes Typical Broker Commissions trade costs of $5.00
6/24/13 9:30 HPQ HEWLETT-PACKARD LONG 1,098 23.61 6/25 9:30 23.72 0.21%
Trade id #81665196
Max drawdown($461)
Time6/24/13 12:25
Quant open1,098
Worst price23.19
Drawdown as % of equity-0.21%
$116
Includes Typical Broker Commissions trade costs of $5.00
6/21/13 10:31 C CITIGROUP LONG 556 46.37 6/25 9:30 46.14 0.34%
Trade id #81640563
Max drawdown($728)
Time6/24/13 10:09
Quant open556
Worst price45.06
Drawdown as % of equity-0.34%
($133)
Includes Typical Broker Commissions trade costs of $5.00
6/20/13 9:30 FCX FREEPORT-MCMORAN INC LONG 914 28.37 6/21 9:30 28.00 0.36%
Trade id #81611923
Max drawdown($776)
Time6/20/13 15:41
Quant open914
Worst price27.52
Drawdown as % of equity-0.36%
($343)
Includes Typical Broker Commissions trade costs of $5.00
6/5/13 12:37 BMY BRISTOL-MYERS SQUIBB LONG 566 45.81 6/6 9:30 46.38 0.01%
Trade id #81319795
Max drawdown($22)
Time6/5/13 12:59
Quant open566
Worst price45.77
Drawdown as % of equity-0.01%
$318
Includes Typical Broker Commissions trade costs of $5.00
6/5/13 12:18 GILD GILEAD SCIENCES LONG 514 50.45 6/6 9:30 50.20 0.28%
Trade id #81319274
Max drawdown($611)
Time6/5/13 13:01
Quant open514
Worst price49.26
Drawdown as % of equity-0.28%
($134)
Includes Typical Broker Commissions trade costs of $5.00
6/3/13 10:37 GILD GILEAD SCIENCES LONG 493 52.58 6/4 9:32 53.20 0.28%
Trade id #81247655
Max drawdown($606)
Time6/3/13 11:36
Quant open493
Worst price51.35
Drawdown as % of equity-0.28%
$296
Includes Typical Broker Commissions trade costs of $9.86
5/23/13 9:30 FCX FREEPORT-MCMORAN INC LONG 837 30.67 5/29 9:31 31.00 0.2%
Trade id #81056304
Max drawdown($443)
Time5/24/13 14:59
Quant open837
Worst price30.14
Drawdown as % of equity-0.20%
$271
Includes Typical Broker Commissions trade costs of $5.00
5/23/13 9:30 HAL HALLIBURTON LONG 602 42.45 5/29 9:30 42.99 0.15%
Trade id #81055977
Max drawdown($325)
Time5/23/13 9:32
Quant open602
Worst price41.91
Drawdown as % of equity-0.15%
$320
Includes Typical Broker Commissions trade costs of $5.00
5/23/13 9:30 MU MICRON TECHNOLOGY LONG 2,416 10.63 5/24 9:31 11.41 0.07%
Trade id #81056112
Max drawdown($144)
Time5/23/13 9:32
Quant open2,416
Worst price10.57
Drawdown as % of equity-0.07%
$1,879
Includes Typical Broker Commissions trade costs of $5.00
4/30/13 10:29 GILD GILEAD SCIENCES LONG 514 49.48 5/2 9:30 52.60 0.01%
Trade id #80599506
Max drawdown($15)
Time4/30/13 10:31
Quant open514
Worst price49.45
Drawdown as % of equity-0.01%
$1,599
Includes Typical Broker Commissions trade costs of $5.00
4/19/13 9:30 HPQ HEWLETT-PACKARD LONG 1,304 19.51 4/22 9:30 19.66 0.27%
Trade id #80358031
Max drawdown($573)
Time4/19/13 9:44
Quant open1,304
Worst price19.07
Drawdown as % of equity-0.27%
$189
Includes Typical Broker Commissions trade costs of $5.00
4/18/13 14:12 AAPL APPLE LONG 464 54.74 4/19 10:00 54.96 0.18%
Trade id #80339544
Max drawdown($385)
Time4/19/13 9:31
Quant open65
Worst price385.10
Drawdown as % of equity-0.18%
$90
Includes Typical Broker Commissions trade costs of $9.28
4/18/13 9:35 MS MORGAN STANLEY LONG 1,241 20.59 4/19 9:32 20.40 0.23%
Trade id #80327525
Max drawdown($483)
Time4/19/13 9:32
Quant open1,241
Worst price20.20
Drawdown as % of equity-0.23%
($241)
Includes Typical Broker Commissions trade costs of $5.00
4/18/13 9:30 EBAY EBAY LONG 471 53.59 4/19 9:30 52.91 0.19%
Trade id #80327531
Max drawdown($405)
Time4/18/13 10:02
Quant open471
Worst price52.73
Drawdown as % of equity-0.19%
($329)
Includes Typical Broker Commissions trade costs of $9.42
4/18/13 14:55 BSX BOSTON SCIENTIFIC LONG 3,610 7.08 4/19 9:30 7.11 0.02%
Trade id #80340868
Max drawdown($36)
Time4/18/13 14:58
Quant open3,610
Worst price7.07
Drawdown as % of equity-0.02%
$103
Includes Typical Broker Commissions trade costs of $5.00
4/18/13 10:06 BAC BANK OF AMERICA CORP LONG 2,262 11.30 4/19 9:30 11.51 0.07%
Trade id #80329574
Max drawdown($158)
Time4/18/13 10:20
Quant open2,262
Worst price11.23
Drawdown as % of equity-0.07%
$470
Includes Typical Broker Commissions trade costs of $5.00
4/17/13 9:35 FCX FREEPORT-MCMORAN INC LONG 897 28.51 4/18 11:14 28.04 0.54%
Trade id #80294782
Max drawdown($1,139)
Time4/18/13 10:27
Quant open897
Worst price27.24
Drawdown as % of equity-0.54%
($427)
Includes Typical Broker Commissions trade costs of $5.00
4/15/13 15:37 CHK CHESAPEAKE ENERGY CORPORATION COMMON STOCK LONG 1,348 18.97 4/16 9:30 19.12 0.03%
Trade id #80249545
Max drawdown($53)
Time4/15/13 16:00
Quant open1,348
Worst price18.93
Drawdown as % of equity-0.03%
$197
Includes Typical Broker Commissions trade costs of $5.00
4/15/13 10:49 CLF CLEVELAND-CLIFFS INC LONG 1,418 18.02 4/16 9:30 17.78 0.33%
Trade id #80236514
Max drawdown($694)
Time4/15/13 15:09
Quant open1,418
Worst price17.53
Drawdown as % of equity-0.33%
($345)
Includes Typical Broker Commissions trade costs of $5.00
4/15/13 9:30 FCX FREEPORT-MCMORAN INC LONG 820 30.10 4/16 9:30 29.69 0.41%
Trade id #80232475
Max drawdown($877)
Time4/15/13 15:40
Quant open820
Worst price29.03
Drawdown as % of equity-0.41%
($341)
Includes Typical Broker Commissions trade costs of $5.00
4/3/13 13:23 CHK CHESAPEAKE ENERGY CORPORATION COMMON STOCK LONG 1,331 19.21 4/4 9:30 19.21 0.06%
Trade id #80035757
Max drawdown($133)
Time4/3/13 15:42
Quant open1,331
Worst price19.11
Drawdown as % of equity-0.06%
($5)
Includes Typical Broker Commissions trade costs of $5.00
3/20/13 9:32 CHK CHESAPEAKE ENERGY CORPORATION COMMON STOCK LONG 1,240 20.52 3/21 9:53 20.91 n/a $479
Includes Typical Broker Commissions trade costs of $5.00
3/5/13 10:48 JCP J.C. PENNEY LONG 1,662 15.38 3/7 9:30 14.78 0.92%
Trade id #79544307
Max drawdown($1,961)
Time3/6/13 10:07
Quant open1,662
Worst price14.20
Drawdown as % of equity-0.92%
($1,002)
Includes Typical Broker Commissions trade costs of $5.00
2/26/13 10:33 MS MORGAN STANLEY LONG 1,166 21.81 2/27 9:35 22.47 0.02%
Trade id #79418152
Max drawdown($34)
Time2/26/13 10:35
Quant open1,166
Worst price21.78
Drawdown as % of equity-0.02%
$765
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    3/14/2009
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    4575.4
  • Age
    153 months ago
  • What it trades
    Stocks
  • # Trades
    1021
  • # Profitable
    649
  • % Profitable
    63.60%
  • Avg trade duration
    1.6 days
  • Max peak-to-valley drawdown
    %
  • drawdown period
    Dec , - Dec ,
  • Annual Return (Compounded)
    15.9%
  • Avg win
    $512.30
  • Avg loss
    $568.08
  • Model Account Values (Raw)
  • Cash
    $223,077
  • Margin Used
    $0
  • Buying Power
    $223,077
  • Ratios
  • W:L ratio
    1.58:1
  • Sharpe Ratio
    0.36
  • Sortino Ratio
    0.48
  • Calmar Ratio
    0.564
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -2.83%
  • Correlation to SP500
    0.15150
  • Return Percent SP500 (cumu) during strategy life
    487.29%
  • Return Statistics
  • Ann Return (w trading costs)
    15.9%
  • Slump
  • Current Slump as Pcnt Equity
    8.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.159%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.81%
  • Instruments
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    6.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    28.50%
  • Chance of 20% account loss
    9.00%
  • Chance of 30% account loss
    2.50%
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Management
  • No Subs Allowed Flag (1: no subs)
    1
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Win
    $512
  • Avg Loss
    $568
  • Sum Trade PL (losers)
    $211,325.000
  • # Winners
    649
  • Num Months Winners
    42
  • Age
  • Num Months filled monthly returns table
    151
  • Win / Loss
  • Sum Trade PL (winners)
    $332,485.000
  • Dividends
  • Dividends Received in Model Acct
    1931
  • Win / Loss
  • # Losers
    372
  • % Winners
    63.6%
  • Frequency
  • Avg Position Time (mins)
    2335.73
  • Avg Position Time (hrs)
    38.93
  • Avg Trade Length
    1.6 days
  • Last Trade Ago
    2953
  • Regression
  • Alpha
    0.01
  • Beta
    0.08
  • Treynor Index
    0.13
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    66.90
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.10
  • Avg(MAE) / Avg(PL) - All trades
    6.111
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    59.07
  • MAE:Equity, 95th Percentile Value for this strat
    0.02
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.522
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.795
  • Hold-and-Hope Ratio
    0.163
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to linear regression on benchmark
  • a (intercept, estimate of alpha)
    0.09000
  • Analysis based on DAILY values, last 6 months only
  • Ratio statistics of excess log return rates
  • VAR (95 Confidence Intrvl)
    0.01800
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Max Equity Drawdown (num days)
    62
  • Last 4 Months - Pcnt Negative
    n/a

Strategy Description

I have finally decided to make a change in Rainier. Starting on Monday, October 22, 2012, the watchlist will change to the most liquid stocks in the S&P 500.


What to Expect


The system will generate orders every evening after the market closes. There will be far more orders generated when the market is weak than when it is strong. Only a fraction of the orders will be filled.


Position Management


When a position is opened, you will receive a sell at limit order or profit target for the next day. The vast majority of trades will last 1 or 2 days. If the position is still open on the third day, it will be closed with a market order. Rainier does not "average down" or add to losing positions.

I strongly recommend that you don't allocate over 12% of your account to a single position. Doing so can increase risk to an unacceptable level. Rainier was designed to use a maximum of 12% position sizing, but you can use less if you want. Smaller position sizes will reduce both profits and drawdowns, but this would be appropriate for many risk-averse individuals. At any rate open 16 positions and then stop buying.

You can size your positions as a percentage of Rainier's position size. The formula is X% = YA / (RE * 2) * 100. YA is Your Account (the amount you're allocating to Rainier), RE is Rainier's Equity (you multiply it by two because it uses 2:1 margin). For example if you allocate $50,000 to trading the system and Rainier's equity is $180,000 the formula would be X% = 50,000 / (180,000 * 2) * 100 = 13.9%.


Margin


The use of margin increases both profits and drawdowns. Market exposure can vary from 0% to about 192%. Historically, with 12% position sizing, the average market exposure has been under 25%. If you don't want to use margin, just use 6% for position sizing.

Summary Statistics

Strategy began
2009-03-14
Suggested Minimum Capital
$100,000
# Trades
1021
# Profitable
649
% Profitable
63.6%
Net Dividends
Correlation S&P500
0.151
Sharpe Ratio
0.36
Sortino Ratio
0.48
Beta
0.08
Alpha
0.01

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.